A file named "Default.png" that's in your application bundle will be displayed at application start before all your views and such are loaded.
You would do well to review the Apple Human Interface Guidelines (HIG) about it, which is (despite many developer's disregard for it) actually useful on this topic and many others.
Can't you just throw up a view on the screen with the progress bar as soon as your app is loaded, but before it does all the server connections and resource loading? Maybe in your app controller's awakeFromNib: or something.